hedging volatility risk
... Since the payoffs of the option proposed here can be replicated by a selffinancing portfolio, consisting of the underlying straddle and borrowing, we value the option using a no arbitrage approach. The idea proposed and developed in this paper addresses both related issues: hedging and pricing. The ...
... Since the payoffs of the option proposed here can be replicated by a selffinancing portfolio, consisting of the underlying straddle and borrowing, we value the option using a no arbitrage approach. The idea proposed and developed in this paper addresses both related issues: hedging and pricing. The ...
Liquor Store Business Valuation
... Overall, this valuation method is used to value a company as a going concern. However, it has a number of shortcomings, in that it does not consider intangible assets such as: assembled workforce, trademarks, customer lists, technical know how, etc. Most importantly, if a buyer were to “start the bu ...
... Overall, this valuation method is used to value a company as a going concern. However, it has a number of shortcomings, in that it does not consider intangible assets such as: assembled workforce, trademarks, customer lists, technical know how, etc. Most importantly, if a buyer were to “start the bu ...
CPSC 335 - University of Calgary
... average that need to be examined is O(bd/2) as opposed to the Min-max algorithm which must examine 0(bd) nodes to find the best move. In the worst case Alpha-Beta will have to examine all nodes just as the original Minimax algorithm does. But assuming a best case result this means that the effective ...
... average that need to be examined is O(bd/2) as opposed to the Min-max algorithm which must examine 0(bd) nodes to find the best move. In the worst case Alpha-Beta will have to examine all nodes just as the original Minimax algorithm does. But assuming a best case result this means that the effective ...
Spatial data structures
... If the current node is closer than the current best, then it becomes the current best. ◦ The algorithm checks whether there could be any points on the other side of the splitting plane that are closer to the search point than the current best. In concept, this is done by intersecting the splitting h ...
... If the current node is closer than the current best, then it becomes the current best. ◦ The algorithm checks whether there could be any points on the other side of the splitting plane that are closer to the search point than the current best. In concept, this is done by intersecting the splitting h ...
Chapter 8
... a risk-free return over that time period equal to the yield to maturity. Thus, the Law of One Price guarantees that the risk-free interest rate equals the yield to maturity on such a bond. ...
... a risk-free return over that time period equal to the yield to maturity. Thus, the Law of One Price guarantees that the risk-free interest rate equals the yield to maturity on such a bond. ...
PDF - Centier Bank
... rise in intermediate rates that had occurred in the second half of the fourth quarter had likely brought U.S. Treasury yields closer to fair value. We also discussed the tradeoffs of investing in short-term fixed income or cash versus intermediate-term bonds. Following up on that discussion, investi ...
... rise in intermediate rates that had occurred in the second half of the fourth quarter had likely brought U.S. Treasury yields closer to fair value. We also discussed the tradeoffs of investing in short-term fixed income or cash versus intermediate-term bonds. Following up on that discussion, investi ...
Algorithm Design CS 515 Fall 2014 Sample Midterm Questions – Solutions
... 2. (a) In this question only you may use any theorems proved in class, but say how they are being used and show that any hypotheses to the theorem are true. Find a Θ estimate for T (n) if: T (n) = 8T (dn/3e) + n2 log(n). This recurrence satisfies the hypotheses of the third case of the Master Theore ...
... 2. (a) In this question only you may use any theorems proved in class, but say how they are being used and show that any hypotheses to the theorem are true. Find a Θ estimate for T (n) if: T (n) = 8T (dn/3e) + n2 log(n). This recurrence satisfies the hypotheses of the third case of the Master Theore ...
Document
... • In a max-heap, if the value at a node becomes less than the key of any of its children, the heap property can be restored by swapping the current node and the child with maximum key value, repeating this process if necessary until – the key at the node is greater than or equal to the keys of both ...
... • In a max-heap, if the value at a node becomes less than the key of any of its children, the heap property can be restored by swapping the current node and the child with maximum key value, repeating this process if necessary until – the key at the node is greater than or equal to the keys of both ...
Contd…
... 1. Operational and legal risks The most concrete source of concern is how the trade is conducted in practice. The explosive increase in the number of contracts, routines and handling procedures have ...
... 1. Operational and legal risks The most concrete source of concern is how the trade is conducted in practice. The explosive increase in the number of contracts, routines and handling procedures have ...
9.4 Predation
... in the market in question, it can be seen as a sign of “weakness”. This may encourage other firms to enter the market in question and/or other markets, because potential entrants anticipate that, rather than being preyed upon, they will make profits in those markets or else will be bought out at goo ...
... in the market in question, it can be seen as a sign of “weakness”. This may encourage other firms to enter the market in question and/or other markets, because potential entrants anticipate that, rather than being preyed upon, they will make profits in those markets or else will be bought out at goo ...
Capital Marketing
... Management of public debt by the RBI involves various policy considerations, which include optimization of cost of borrowing, achieving dispersion of ownership of government securities down to the retail level and fostering a deep and vibrant market for government securities. Demand for credit from ...
... Management of public debt by the RBI involves various policy considerations, which include optimization of cost of borrowing, achieving dispersion of ownership of government securities down to the retail level and fostering a deep and vibrant market for government securities. Demand for credit from ...
HOMEWORK 3 SOLUTION Chapter 8 1. Assume that your company
... The yield required by the market on long‐term bonds may change in response to the 50 basis point increase in short‐term rates. If long‐term interest rates rise, then by pledging to sell the Eurobonds at par, CSFB will lose the difference between par and the new lower pric ...
... The yield required by the market on long‐term bonds may change in response to the 50 basis point increase in short‐term rates. If long‐term interest rates rise, then by pledging to sell the Eurobonds at par, CSFB will lose the difference between par and the new lower pric ...
Binary Tree
... Binary trees contain nodes. Each node may have a left child and a right child. If you start from any node and move upward, you will eventually reach the root. Every node except the root has one parent. The root has no parent. Complete binary trees require the nodes to fill in each level from ...
... Binary trees contain nodes. Each node may have a left child and a right child. If you start from any node and move upward, you will eventually reach the root. Every node except the root has one parent. The root has no parent. Complete binary trees require the nodes to fill in each level from ...
Lattice model (finance)
For other meanings, see lattice model (disambiguation)In finance, a lattice model [1] is a technique applied to the valuation of derivatives, where, because of path dependence in the payoff, 1) a discretized model is required and 2) Monte Carlo methods fail to account for optimal decisions to terminate the derivative by early exercise. For equity options, a typical example would be pricing an American option, where a decision as to option exercise is required at ""all"" times (any time) before and including maturity. A continuous model, on the other hand, such as Black Scholes, would only allow for the valuation of European options, where exercise is on the option's maturity date. For interest rate derivatives lattices are additionally useful in that they address many of the issues encountered with continuous models, such as pull to par.